Bilateral credit valuation adjustment for large credit derivatives portfolios

By Bo Lijun   Capponi Agostino  

Finance and Stochastics, Vol. 18, Iss. 2, 2014-04 ,pp. : 431-482

Springer Publishing Company

Access to resources Recommend Favorite

Overnight index swap and integrated credit valuation adjustment discounting

By Douglas Rohan   Pugachevsky Dmitry  

Journal of Securities Operations & Custody, Vol. 5, Iss. 3, 2013-01 ,pp. : 262-275

Henry Stewart Publications

Access to resources Recommend Favorite

General wrong-way risk and stress calibration of exposure

By Pykhtin Michael  

Journal of Risk Management in Financial Institutions, Vol. 5, Iss. 3, 2012-06 ,pp. : 234-251

Henry Stewart Publications

Access to resources Recommend Favorite

CVA wrong way risk multiplier decomposition and efficient CVA curve

By  

Journal of Risk Management in Financial Institutions, Vol. 8, Iss. 4, 2015-10 ,pp. : 390-404

Henry Stewart Publications

Access to resources Recommend Favorite

CVA the wrong way

By Rosen Dan   Saunders David  

Journal of Risk Management in Financial Institutions, Vol. 5, Iss. 3, 2012-06 ,pp. : 252-272

Henry Stewart Publications

Access to resources Recommend Favorite